Download or read book Some Applications of Competitive Prices to Problems of Dynamic Programming Under Uncertainty written by Jack Schechtman and published by . This book was released on 1973 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Some Applications of Competitive Prices to Dynamic Programming Problems Under Uncertainty written by Jack Schechtman and published by . This book was released on 1973 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author is concerned with a one-good economy. The good can be used at any period of time for production or consumption. If x units are put into production in period t then (f sup t) (x; (omega sup t)) units become available as outputs in period t + 1 ; where (omega sup t) is a random variable with known distribution. If c units are consumed in period t this produces (u sup t)(c) units of satisfaction or utility to the society in that period. The main interest is the study of qualitative properties of optimal solutions for a problem in which we maximize the total expected utility accumulated in t periods. (Author Modified Abstract).
Download or read book Competitive Prices Dynamic Programming Under Uncertainty a Nonstationary Case written by Jack Schechtman and published by . This book was released on 1976 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-good economy is considered. The good can be used either for consumption or for production. If c units of the good are consumed and x units of the product are put into production, then the society gets u(t) (c) + p(t) (x) units of satisfaction, or utility, and the quantity of the good available in the next period is f(t) (x;w(t)) where w(t) are independent random variables. Using the concept of competitive prices and policies qualitative properties of optimal policies for finite and infinite time horizon problem are obtained. These results have applications to problem of nonrenewable resources, storage problem and economic growth models under uncertainty. (Author).
Download or read book Decision Making under Uncertainty in Financial Markets written by Jonas Ekblom and published by Linköping University Electronic Press. This book was released on 2018-09-13 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. Stochastic optimization provides the tools to determine optimal decisions in uncertain environments, and the optimality conditions of these models produce insights into how financial markets work. To be more concrete, a great deal of financial theory is based on optimality conditions derived from stochastic optimization models. Therefore, an important part of the development of financial theory is to study stochastic optimization models that step-by-step better capture the essence of reality. This is the motivation behind the focus of this thesis, which is to study methods that in relation to prevailing models that underlie financial theory allow additional real-world complexities to be properly modeled. The overall purpose of this thesis is to develop and evaluate stochastic optimization models that support improved decisions under uncertainty on financial markets. The research into stochastic optimization in financial literature has traditionally focused on problem formulations that allow closed-form or `exact' numerical solutions; typically through the application of dynamic programming or optimal control. The focus in this thesis is on two other optimization methods, namely stochastic programming and approximate dynamic programming, which open up opportunities to study new classes of financial problems. More specifically, these optimization methods allow additional and important aspects of many real-world problems to be captured. This thesis contributes with several insights that are relevant for both financial and stochastic optimization literature. First, we show that the modeling of several real-world aspects traditionally not considered in the literature are important components in a model which supports corporate hedging decisions. Specifically, we document the importance of modeling term premia, a rich asset universe and transaction costs. Secondly, we provide two methodological contributions to the stochastic programming literature by: (i) highlighting the challenges of realizing improved decisions through more stages in stochastic programming models; and (ii) developing an importance sampling method that can be used to produce high solution quality with few scenarios. Finally, we design an approximate dynamic programming model that gives close to optimal solutions to the classic, and thus far unsolved, portfolio choice problem with constant relative risk aversion preferences and transaction costs, given many risky assets and a large number of time periods.
Download or read book Dynamic Programming and Stochastic Control written by Bertsekas and published by Academic Press. This book was released on 1976-11-26 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Programming and Stochastic Control
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Download or read book American Doctoral Dissertations written by and published by . This book was released on 1976 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Comprehensive Dissertation Index written by and published by . This book was released on 1989 with total page 978 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Programming written by John O.S. Kennedy and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: Humans interact with and are part of the mysterious processes of nature. Inevitably they have to discover how to manage the environment for their long-term survival and benefit. To do this successfully means learning something about the dynamics of natural processes, and then using the knowledge to work with the forces of nature for some desired outcome. These are intriguing and challenging tasks. This book describes a technique which has much to offer in attempting to achieve the latter task. A knowledge of dynamic programming is useful for anyone interested in the optimal management of agricultural and natural resources for two reasons. First, resource management problems are often problems of dynamic optimization. The dynamic programming approach offers insights into the economics of dynamic optimization which can be explained much more simply than can other approaches. Conditions for the optimal management of a resource can be derived using the logic of dynamic programming, taking as a starting point the usual economic definition of the value of a resource which is optimally managed through time. This is set out in Chapter I for a general resource problem with the minimum of mathematics. The results are related to the discrete maximum principle of control theory. In subsequent chapters dynamic programming arguments are used to derive optimality conditions for particular resources.
Download or read book Approximate Dynamic Programming written by Warren B. Powell and published by John Wiley & Sons. This book was released on 2007-10-05 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete and accessible introduction to the real-world applications of approximate dynamic programming With the growing levels of sophistication in modern-day operations, it is vital for practitioners to understand how to approach, model, and solve complex industrial problems. Approximate Dynamic Programming is a result of the author's decades of experience working in large industrial settings to develop practical and high-quality solutions to problems that involve making decisions in the presence of uncertainty. This groundbreaking book uniquely integrates four distinct disciplines—Markov design processes, mathematical programming, simulation, and statistics—to demonstrate how to successfully model and solve a wide range of real-life problems using the techniques of approximate dynamic programming (ADP). The reader is introduced to the three curses of dimensionality that impact complex problems and is also shown how the post-decision state variable allows for the use of classical algorithmic strategies from operations research to treat complex stochastic optimization problems. Designed as an introduction and assuming no prior training in dynamic programming of any form, Approximate Dynamic Programming contains dozens of algorithms that are intended to serve as a starting point in the design of practical solutions for real problems. The book provides detailed coverage of implementation challenges including: modeling complex sequential decision processes under uncertainty, identifying robust policies, designing and estimating value function approximations, choosing effective stepsize rules, and resolving convergence issues. With a focus on modeling and algorithms in conjunction with the language of mainstream operations research, artificial intelligence, and control theory, Approximate Dynamic Programming: Models complex, high-dimensional problems in a natural and practical way, which draws on years of industrial projects Introduces and emphasizes the power of estimating a value function around the post-decision state, allowing solution algorithms to be broken down into three fundamental steps: classical simulation, classical optimization, and classical statistics Presents a thorough discussion of recursive estimation, including fundamental theory and a number of issues that arise in the development of practical algorithms Offers a variety of methods for approximating dynamic programs that have appeared in previous literature, but that have never been presented in the coherent format of a book Motivated by examples from modern-day operations research, Approximate Dynamic Programming is an accessible introduction to dynamic modeling and is also a valuable guide for the development of high-quality solutions to problems that exist in operations research and engineering. The clear and precise presentation of the material makes this an appropriate text for advanced undergraduate and beginning graduate courses, while also serving as a reference for researchers and practitioners. A companion Web site is available for readers, which includes additional exercises, solutions to exercises, and data sets to reinforce the book's main concepts.
Download or read book The Economics of Search written by Brian McCall and published by Routledge. This book was released on 2007-12-20 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economics of search is a prominent component of economic theory, and it has a richness and elegance that underpins a host of practical applications. In this book Brian and John McCall present a comprehensive overview of the economic theory of search, from the classical model of job search formulated 40 years ago to the recent developments in equilibrium models of search. The book gives decision-theoretic foundations to seemingly slippery issues in labour market theory, estimation theory and economic dynamics in general, and surveys the entire field of the economics of search, including its history, theory, and econometric applications. Theoretical models of the economics of search are covered as well as estimation methods used in search theory and topics covered include job search, turnover, unemployment, liquidity, house selling, real options and auctions. The mathematical methods used in search theory such as dynamic programming are reviewed as well as structural estimation methods and econometric methods for duration models. The authors also explore the classic sequential search model and its extensions in addition to recent advances in equilibrium search theory.
Download or read book Reinforcement Learning and Stochastic Optimization written by Warren B. Powell and published by John Wiley & Sons. This book was released on 2022-03-15 with total page 1090 pages. Available in PDF, EPUB and Kindle. Book excerpt: REINFORCEMENT LEARNING AND STOCHASTIC OPTIMIZATION Clearing the jungle of stochastic optimization Sequential decision problems, which consist of “decision, information, decision, information,” are ubiquitous, spanning virtually every human activity ranging from business applications, health (personal and public health, and medical decision making), energy, the sciences, all fields of engineering, finance, and e-commerce. The diversity of applications attracted the attention of at least 15 distinct fields of research, using eight distinct notational systems which produced a vast array of analytical tools. A byproduct is that powerful tools developed in one community may be unknown to other communities. Reinforcement Learning and Stochastic Optimization offers a single canonical framework that can model any sequential decision problem using five core components: state variables, decision variables, exogenous information variables, transition function, and objective function. This book highlights twelve types of uncertainty that might enter any model and pulls together the diverse set of methods for making decisions, known as policies, into four fundamental classes that span every method suggested in the academic literature or used in practice. Reinforcement Learning and Stochastic Optimization is the first book to provide a balanced treatment of the different methods for modeling and solving sequential decision problems, following the style used by most books on machine learning, optimization, and simulation. The presentation is designed for readers with a course in probability and statistics, and an interest in modeling and applications. Linear programming is occasionally used for specific problem classes. The book is designed for readers who are new to the field, as well as those with some background in optimization under uncertainty. Throughout this book, readers will find references to over 100 different applications, spanning pure learning problems, dynamic resource allocation problems, general state-dependent problems, and hybrid learning/resource allocation problems such as those that arose in the COVID pandemic. There are 370 exercises, organized into seven groups, ranging from review questions, modeling, computation, problem solving, theory, programming exercises and a “diary problem” that a reader chooses at the beginning of the book, and which is used as a basis for questions throughout the rest of the book.
Download or read book Intelligent Robotics and Applications written by Caihua Xiong and published by Springer Science & Business Media. This book was released on 2008-09-29 with total page 1288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two volumes constitute the refereed proceedings of the First International Conference on Intelligent Robotics and Applications, ICIRA 2008, held in Wuhan, China, in October 2008. The 265 revised full papers presented were thoroughly reviewed and selected from 552 submissions; they are devoted but not limited to robot motion planning and manipulation; robot control; cognitive robotics; rehabilitation robotics; health care and artificial limb; robot learning; robot vision; human-machine interaction & coordination; mobile robotics; micro/nano mechanical systems; manufacturing automation; multi-axis surface machining; realworld applications.
Download or read book Decision and Control in Uncertain Resource Systems written by Mangel and published by Academic Press. This book was released on 1984-12-14 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision and Control in Uncertain Resource Systems
Download or read book Naval Research Logistics Quarterly written by and published by . This book was released on 1954 with total page 1416 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Agricultural Supply Chain Management Research written by Onur Boyabatlı and published by Springer Nature. This book was released on 2021-12-09 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on three essential elements of agricultural supply chains: Planting and Growing, Processing and Selling, and Government Interventions. For decades, most agricultural economists applied macro-economic theory in decisions pertaining to the optimization of food production and distribution. However, few researchers used micro-economic theory to examine how individual farmers respond to market information, incentive pricing mechanisms and different market structures in the trade of agricultural goods. Examining challenges in agricultural supply chain operations through the lens of micro-economic theory is imperative because it can enable policymakers and social enterprises to develop and design market information provision policy, incentive contracts and market structures for improving farmer and consumer welfare. In each chapter, contributing authors motivate their research questions by providing the context and articulating the importance of their questions. They present their analysis to examine the respective research questions and explain their results. At the end of each chapter, they provide a short list of future research questions.
Download or read book 16th European Symposium on Computer Aided Process Engineering and 9th International Symposium on Process Systems Engineering written by Wolfgang Marquardt and published by Elsevier. This book was released on 2006-08-02 with total page 1127 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings book contains the papers presented at the joint conference event of the 9th Symposium on Process Systems Engineering (PSE'2006) and the 16th European Symposium on Computer Aided Process Engineering (ESCAPE-16), held in Garmisch-Partenkirchen, Germany, from July 9 – July 13, 2006. The symposium follows the first joint event PSE'97 / ESCAPE-7 in Trondheim, Norway (1997). The last two venues of the ESCAPE symposia were Barcelona, Spain (2005) and Lisbon, Portugal (2004) and the most recent PSE symposia were held in Kunming, China (2003) and Keystone, Colorado, USA (2000). The purpose of both series is to bring together the international community of researchers engineers who are interested in computing-based methods in process engineering. The main objective of the symposium is to review and present the latest developments and current state in Process Systems Engineering and Computer Aided Process Engineering. The focus of PSE'2006 / ESCAPE-16 has been on Modelling and Numerical Methods, Product and Process Design, Operations and Control, Biological Systems, Infrastructure Systems, and Business decision support.* reviews and presents the latest developments and current state of Process Systems Engineering and Computer Aided Process Engineering * contains papers presented at a joint conference event * bringing together an international community of researchers and engineers interested in computing-based methods in Process Engineering
